TY  - JOUR
AU  - Chinn,Menzie D.
TI  - On the Won and Other East Asian Currencies
JF  - National Bureau of Economic Research Working Paper Series
VL  - No. 6671
PY  - 1998
Y2  - August 1998
UR  - http://www.nber.org/papers/w6671
L1  - http://www.nber.org/papers/w6671.pdf
N1  - Author contact info:
Menzie D. Chinn
Dept. of Economics
University of Wisconsin
1180 Observatory Drive
Madison, WI 53706
Tel: 608/262-7397
Fax: 608/262-2033
E-Mail: mchinn@lafollette.wisc.edu
AB  - Five East Asian currencies -- the Indonesian rupiah, Korean won, Singapore dollar, Taiwanese dollar, and the Thai baht -- are modeled in the framework of a monetary specification augmented by the relative price of nontradables.  This relative price variable proxies for the Balassa-Samuelson effect in East Asian real exchange rates identified in Chinn (1997b).  All of the currencies fit the long run implications of various types of monetary models, according to Johansen (1988) multivariate cointegration tests.  Exchange rates do the bulk of adjustment toward equilibrium, except in the cases of the Thai baht and the New Taiwan dollar.  For these currencies, interest rates and money supplies move to restore equilibrium.  In ex post simulation, the out-of-sample fit of the estimated models is relatively good for the won, Singapore and New Taiwan dollars, and for the baht, although in no case is the exact magnitude and timing of the currency clashes predicted.  The estimated model completely fails to track the rupiah out-of-sample.
ER  -